Wenying Yao : Citation Profile


Are you Wenying Yao?

University of Melbourne

4

H index

1

i10 index

41

Citations

RESEARCH PRODUCTION:

13

Articles

9

Papers

RESEARCH ACTIVITY:

   10 years (2012 - 2022). See details.
   Cites by year: 4
   Journals where Wenying Yao has often published
   Relations with other researchers
   Recent citing documents: 15.    Total self citations: 6 (12.77 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pya365
   Updated: 2023-01-28    RAS profile: 2022-02-18    
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Relations with other researchers


Works with:

Alexeev, Vitali (3)

Tang, Chrismin (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Wenying Yao.

Is cited by:

Angelini, Giovanni (2)

Koop, Gary (2)

Sorge, Marco (2)

Soccorsi, Stefano (2)

pagan, adrian (2)

Chan, Joshua (2)

Eisenstat, Eric (2)

Mendieta-Muñoz, Ivan (2)

Smith, Peter (1)

AROURI, Mohamed (1)

Wong, Benjamin (1)

Cites to:

Bollerslev, Tim (46)

Diebold, Francis (25)

Andersen, Torben (23)

Dungey, Mardi (23)

Hansen, Peter (15)

Neely, Christopher (14)

Barndorff-Nielsen, Ole (13)

Davis, Steven (13)

Campbell, John (13)

Poskitt, Donald (13)

Ait-Sahalia, Yacine (11)

Main data


Where Wenying Yao has published?


Journals with more than one article published# docs
The Economic Record2

Working Papers Series with more than one paper published# docs
Working Papers / University of Tasmania, Tasmanian School of Business and Economics4
Discussion Papers / Free University Berlin, School of Business & Economics2
Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics2

Recent works citing Wenying Yao (2022 and 2021)


YearTitle of citing document
2021Identifiability and Estimation of Possibly Non-Invertible SVARMA Models: A New Parametrisation. (2020). Funovits, Bernd. In: Papers. RePEc:arx:papers:2002.04346.

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2021Machine Learning Advances for Time Series Forecasting. (2020). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Papers. RePEc:arx:papers:2012.12802.

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2022Predictive Quantile Regression with Mixed Roots and Increasing Dimensions. (2021). Shin, Youngki ; Lee, Ji Hyung ; Fan, Rui. In: Papers. RePEc:arx:papers:2101.11568.

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2021Multiple-index Nonstationary Time Series Models: Robust Estimation Theory and Practice. (2021). Peng, Bin ; Gao, Jiti ; Dong, Chaohua ; Tu, Yundong. In: Papers. RePEc:arx:papers:2111.02023.

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2022A restricted eigenvalue condition for unit-root non-stationary data. (2022). Wijler, Etienne. In: Papers. RePEc:arx:papers:2208.12990.

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2022On LASSO for High Dimensional Predictive Regression. (2022). Shi, Zhentao ; Mei, Ziwei. In: Papers. RePEc:arx:papers:2212.07052.

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2021Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks. (2021). Sorge, Marco M ; Angelini, Giovanni. In: Working Papers. RePEc:bol:bodewp:wp1160.

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2021Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks. (2021). Sorge, Marco ; Angelini, Giovanni. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:133:y:2021:i:c:s0165188921002001.

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2022On LASSO for predictive regression. (2022). Shi, Zhentao ; Gao, Zhan ; Lee, Ji Hyung. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:2:p:322-349.

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2022Pandemic-driven financial contagion and investor behavior: Evidence from the COVID-19. (2022). Jin, Xiu ; Wang, Haiying ; Yuan, Ying. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s105752192200268x.

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2021How Many Stocks Are Sufficient for Equity Portfolio Diversification? A Review of the Literature. (2021). Arnaut-Berilo, Almira ; Omanovic, Adna ; Zaimovic, Azra. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:11:p:551-:d:679488.

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2022Arbitrage constraints and behaviour of volatility components: Evidence from a natural experiment. (2022). Jacob, Joshy ; Srivastava, Pranjal. In: IIMA Working Papers. RePEc:iim:iimawp:14685.

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2021Multiple-index Nonstationary Time Series Models: Robust Estimation Theory and Practice. (2021). Peng, Bin ; Tu, Yundong ; Gao, Jiti ; Dong, Chaohua. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2021-18.

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2021Realized Volatility, Jump and Beta: evidence from Canadian Stock Market. (2021). Chowdhury, Biplob ; Gajurel, Dinesh. In: Applied Economics. RePEc:taf:applec:v:53:y:2021:i:55:p:6376-6397.

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2021Generalized Jump Regressions for Local Moments. (2021). Saker, Leonardo Salim ; Li, Jia ; Bollerslev, Tim. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:39:y:2021:i:4:p:1015-1025.

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Works by Wenying Yao:


YearTitleTypeCited
2020Modelling Financial Contagion Using High Frequency Data In: The Economic Record.
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article0
2020Jump Risk in the US Financial Sector In: The Economic Record.
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article1
2018News and expected returns in East Asian equity markets: The RV-GARCHM model In: Journal of Asian Economics.
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article0
2017On weak identification in structural VARMA models In: Economics Letters.
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article0
2020High-dimensional predictive regression in the presence of cointegration In: Journal of Econometrics.
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article7
2017Time-varying continuous and jump betas: The role of firm characteristics and periods of stress In: Journal of Empirical Finance.
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article11
2021Forecasting the volatility of asset returns: The informational gains from option prices In: International Journal of Forecasting.
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article0
2022The impact of COVID-19 pandemic on the volatility connectedness network of global stock market In: Pacific-Basin Finance Journal.
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article1
2019Asymmetric jump beta estimation with implications for portfolio risk management In: International Review of Economics & Finance.
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article4
2016Continuous and Jump Betas: Implications for Portfolio Diversification In: Econometrics.
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article2
2012VAR Modeling and Business Cycle Analysis: A Taxonomy of Errors In: Monash Econometrics and Business Statistics Working Papers.
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paper5
2014Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations In: Monash Econometrics and Business Statistics Working Papers.
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paper2
2016Determination of Long?run and Short?run Dynamics in EC?VARMA Models via Canonical Correlations.(2016) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 2
article
2020The Impact of Forward Guidance and Large-scale Asset Purchase Programs on Commodity Markets In: MPRA Paper.
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paper0
2018High-frequency Characterisation of Indian Banking Stocks In: Journal of Emerging Market Finance.
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article0
2015High frequency characterization of Indian banking stocks.(2015) In: Working Papers.
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This paper has another version. Agregated cites: 0
paper
2017Vector Autoregressions and Macroeconomic Modeling: An Error Taxonomy In: Journal of Business & Economic Statistics.
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article8
2014Forecasting with EC-VARMA models In: Working Papers.
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paper0
2014VAR(MA), what is it good for? more bad news for reduced-form estimation and inference In: Working Papers.
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paper0
2015The role of intra-day volatility pattern in jump detection: empirical evidence on how financial markets respond to macroeconomic news announcements In: Working Papers.
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paper0
2020Cojump anchoring In: Discussion Papers.
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paper0
2021Tests for jumps in yield spreads In: Discussion Papers.
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paper0

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